Derivative Report
Mar 03, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by
4.00%
BankNifty futures open interest has increased by 4.62%
as market closed at 8956.75 levels.
The Nifty March future closed at premium of
43.95
points against a premium of 62.80 points. The April
series closed at a premium of 107.45 points.
The Implied Volatility of at the money options has
decreased from 16.75% to 15.31%.
Nifty PCR-OI has increased from 0.86 to 0.90 levels.
The total OI of the market is Rs. 1,95,808/- cr. and the
stock futures OI is Rs. 70,251/- cr.
Few of the liquid counters where we have seen high cost
of carry are HDFCBANK, MINDTREE, AUROPHARMA,
UNITECH and FEDERALBNK.
View
OI Gainers
FIIs bought in cash market segment of worth Rs. 424
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
crores. In Index Futures they were net buyers of worth
(%)
(%)
Rs. 850 crores with rise in open interest indicating
continuation of fresh long formation in last trading
TVSMOTOR
4729000
17.55
272.00
-2.77
session.
ITC
52927000
16.87
343.25
-5.02
In Index Options again they bought significantly of
FEDERALBNK
15096000
14.97
150.15
5.50
worth Rs. 2473/- crores with rise in open interest
suggesting buying in options. In call options we saw
ACC
1777500
14.88
1762.80
5.16
some buildup in 9100 strike price, 9400 call option
MINDTREE
159000
13.98
1460.65
1.46
also added more than 42,000 contracts yesterday.
On the other hand in put options 8600-8900 strikes
continue to add good amount of buildup and we
OI Losers
believe these are FIIs long positions to hedge their
OI
PRICE
Futures positions. Maximum buildup in current series
SCRIP
OI
CHANGE
PRICE
CHANGE
is visible in 9000 call & 8500 put options.
(%)
(%)
SKSMICRO
7183000
-8.73
455.50
3.81
Seeing the above data we believe we may see some
more strength in Nifty but we would suggest not
OFSS
74000
-4.67
3373.70
2.47
going aggressively long at current levels. Budget not
MOTHERSUMI
3751000
-4.57
470.05
3.75
as good as it appears from short term, so buying put
options at bounce will be a good idea.
CENTURYTEX
7755000
-4.21
568.10
6.94
AXISBANK
30067500
-2.70
647.55
5.45
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.90
0.82
RECLTD
60.10
BANKNIFTY
0.86
0.69
BAJAJ-AUTO
30.11
RELIANCE
0.71
0.58
ULTRACEMCO
49.05
ITC
0.50
0.45
AMBUJACEM
42.33
SBIN
0.43
0.44
FEDERALBNK
38.12
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Derivative Report
Mar 03, 2015
FII Statistics for 02-Mar-2015
Turnover on 02-Mar-2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
2517.67
1666.69
850.98
924116
22218.17
6.44
7,39,101
22048.17
-44.61
FUTURES
FUTURES
INDEX
INDEX
18408.78
15934.79
2473.99
1731100
50354.15
4.84
62,19,086
154277.92
-43.02
OPTIONS
OPTIONS
STOCK
STOCK
3041.62
3336.63
(295.01)
1930245
59996.57
1.18
10,39,900
35311.24
-13.20
FUTURES
FUTURES
STOCK
STOCK
2162.51
2136.08
26.43
66941
2136.80
21.28
3,99,289
13771.28
-18.91
OPTIONS
OPTIONS
TOTAL
26130.58
23074.20
3056.39
4652402
134705.68
3.80
TOTAL
83,97,382
225409.37
-38.78
Nifty Spot =8956.75
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
9000
140.65
Buy
9000
138.30
47.80
52.20
9047.80
40.65
59.35
8959.35
Sell
Sell
9100
92.85
8900
97.65
Buy
Buy
9000
140.65
9000
138.30
82.85
117.15
9082.85
70.45
129.55
8929.55
Sell
9200
57.80
Sell
8800
67.85
Buy
9100
92.85
Buy
8900
97.65
35.05
64.95
9135.05
29.80
70.20
8870.20
Sell
9200
57.80
Sell
8800
67.85
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Mar Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
Mar 03, 2015
Strategy Date
Symbol
Strategy
Status
02-03-2015
NIFTY
Long Put
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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